In a school-based, four-wave, longitudinal study, children (grades 4–7) and young adolescents (grades 6–9) completed questionnaires measuring depressive symptoms and depressive cognitions, including positive and negative cognitions on the Cognitive Triad Inventory for Children (CTI-C; Kaslow, Stark, Printz, Livingston, & Tsai, 1992) and self-perceived competence on the Self-Perception Profile for Children (SPPC; Harter, 1985). Application of the Trait-State-Occasion model (Cole, Martin, & Steiger, 2005) revealed the existence of a time-invariant trait factor and a set of time-varying occasion factors. Gender differences emerged, indicating that some cognitive diatheses were more trait-like for girls than for boys (i.e., positive and negative cognitions on the CTI-C; self-perceived physical appearance and global self-worth on the SPPC). Implications focus on the emergent gender difference in depression, the design of longitudinal studies, and clinical decisions about the implementation of prevention versus intervention programs. © 2009 Wiley Periodicals, Inc. J Clin Psychol 65:1–15, 2009.